Quantocracy’s Daily Wrap for 10/02/2017

2017 is on track for a good year for factor exposure as most factors are positive Quality, Growth, and Momentum are headed for the winners podium Value is negative across regions, giving up all of last years gains INTRODUCTION We present the performance of six well-known factors on an annual basis for the last 10 years and the first three quarters of 2017. Its worth mentioning that not all

Personal note: Sorry for the long delay from posting. I had a death in the family this summer, a big overseas family wedding, and Ive been working on getting my newsletter released, which Ill announce in a later post. Now, Im back. I was thinking this morning that with the increasing talk of market valuation, bubbles, etc. it would be a good time to revisit my post on TAA vs buy and hold

In an ideal world, all investors would outperform their benchmarks. In reality, outperformance is a zero-sum game: for one investor to outperform, another must underperform. If achieving outperformance with a certain strategy is perceived as being easy, enough investors will pursue that strategy such that its edge is driven towards zero. Rather, for a strategy to outperform in the long run,

urn of the month will often trigger some seasonal studies. The study below looks at performance after times that SPY has closed a month at the highest closing price of the month. 2017-10-02 image1 The numbers across the board are fairly compelling. Trades may want to keep this in mind as we enter October.

Title: VOLATILITY WISDOM OF SOCIAL MEDIA CROWDS Authors: Ahmet K. Karagozoglu and Frank J. Fabozzi Publication: Journal of Portfolio Management, Winter 2017 (version here) What are the research questions? Using raw tweets from Twitter and StockTwits (Trader Mood Data from PsychSignal) a minute-by-minute social media sentiment signal is constructed for numerous financial instruments and used